def profit_calculator(self):
self._setter()
if self._validator():
for date in self._cal_date_list:
if self._strategy_type == StrategyType.RSI_HF:
trader = threading.Thread(target=Strategy.rsi_high_freq,
args=(date, ))
trader.start()
trader.join()
elif self._strategy_type == StrategyType.RSI_LF:
trader = threading.Thread(target=Strategy.rsi_low_freq,
args=(date, ))
trader.start()
trader.join()
current_price = StockTrend.get_price_by_date(date)
current_capital = (Capital.CASH +
Capital.STOCK_VOLUME * current_price)
Capital.CAPITAL_TREND[date] = current_capital
logging.info('[{}] current capital is {}'.format(
date, current_capital))
profit = Capital.CASH + Capital.STOCK_VOLUME * StockTrend.get_price_by_date(
Stock.END_DATE) - Capital.INITIAL
logging.info('[Profit] total profit is {}'.format(profit))
else:
logging.error("[Exit] Thread would be exited!")
def trade_date_collection(date):
start_date = DateUtil.rough_datetime(date, years=-1)
price_list = list(
StockTrend.stock_trend_info(Stock.SH_INDEX, start_date,
date).items())
date_list = [DateUtil.datetime_formatter(x[0]) for x in price_list]
return date_list
def stock_sma(date, days=200):
start_date = DateUtil.rough_datetime(date, years=-1)
price_list = list(
StockTrend.stock_trend_info(Stock.SH_INDEX, start_date,
date).items())[:days]
price_list = [float(x[1]['close']) for x in price_list]
sma = sum(price_list) / 200
return sma
def _setter(self):
Stock.CODE = self._stock_code
Stock.START_DATE = self._cal_date_list[0]
Stock.END_DATE = self._cal_date_list[-1]
Capital.CASH = self._cash
Capital.STOCK_VOLUME = self._volume
Capital.STOCK = Capital.STOCK_VOLUME * StockTrend.get_price_by_date(
Stock.START_DATE)
Capital.INITIAL = Capital.STOCK + Capital.CASH
logging.info('[Capital] Initial capital in cash is {}'.format(
Capital.CASH))
logging.info('[Capital] Initial capital in stock is {}'.format(
Capital.STOCK))
logging.info(
'[Capital] Total initial capital is {}'.format(Capital.CASH +
Capital.STOCK))
def rsi_high_freq(date):
market_status = StockMarket.market_status(date)
rsi = StockIndex.rsi(date)
grades = (rsi - 50) / 50
if grades >= 0:
alpla = 1 if market_status == MarketStatus.BEAR else 0.8
volume = Capital.STOCK_VOLUME
selling_volume = abs(int(volume * grades * alpla))
TradeUtil.sell(selling_volume, date)
logging.info('[{}] sell {}'.format(date, selling_volume))
else:
alpla = 1 if market_status == MarketStatus.BULL else 0.8
volume = Capital.CASH // StockTrend.get_price_by_date(date)
buying_volume = abs(int(volume * grades * alpla))
TradeUtil.buy(buying_volume, date)
logging.info('[{}] buy {}'.format(date, buying_volume))
def rsi(date, days=14):
start_date = DateUtil.rough_datetime(date, months=-1)
trend_list = list(
StockTrend.stock_trend_info(Stock.CODE, start_date,
date).items())[1:days + 1]
price_list = [float(x[1]['close']) for x in trend_list]
rise_sum, down_sum = 0, 0
for i in range(len(price_list) - 1):
balance = price_list[i + 1] - price_list[i]
if balance > 0:
rise_sum += balance
else:
down_sum -= balance
if (rise_sum + down_sum) != 0:
rsi = 100 * rise_sum / (rise_sum + down_sum)
else:
rsi = 50
return rsi
def rsi_low_freq(date):
market_status = StockMarket.connors_market_status(date)
exit_point = StockMarket.connors_exit_condition(date)
rsi_2 = StockIndex.rsi_2(date)
if rsi_2 > 80 and exit_point != MarketCondition.LONG:
alpha = 0.8 if market_status == MarketStatus.BULL else 1
grade = (rsi_2 - 80) / 10 if rsi_2 < 90 else pow(
(rsi_2 - 80) / 10, 2)
volume = Capital.STOCK_VOLUME
selling_volume = abs(int(volume * grade * alpha / 4))
TradeUtil.sell(selling_volume, date)
logging.info('[{}] sell {}'.format(date, selling_volume))
elif rsi_2 < 20 and exit_point != MarketCondition.SHORT:
alpha = 1 if market_status == MarketStatus.BULL else 0.8
grade = (20 - rsi_2) / 10 if rsi_2 > 10 else pow(
(20 - rsi_2) / 10, 2)
volume = Capital.CASH // StockTrend.get_price_by_date(date)
buying_volume = abs(int(volume * grade * alpha / 4))
TradeUtil.buy(buying_volume, date)
logging.info('[{}] buy {}'.format(date, buying_volume))
def buy(volume, date):
Capital.CASH -= volume * StockTrend.get_price_by_date(date)
Capital.STOCK += volume * StockTrend.get_price_by_date(date)
Capital.STOCK_VOLUME += volume
def sell(volume, date):
Capital.CASH += volume * StockTrend.get_price_by_date(date)
Capital.STOCK -= volume * StockTrend.get_price_by_date(date)
Capital.STOCK_VOLUME -= volume
def show():
StockTrend.stock_trend_chart(Capital.CAPITAL_TREND)
def connors_exit_condition(date):
price = StockTrend.get_price_by_date(date)
if price >= StockMarket.stock_sma(date, days=5):
return MarketCondition.SHORT
else:
return MarketCondition.LONG
def connors_market_status(date):
price = StockTrend.get_price_by_date(date)
if price < StockMarket.stock_sma(date):
return MarketStatus.BEAR
else:
return MarketStatus.BULL
#!/usr/bin/env python
# -*- coding: utf-8 -*-
from common.constants import Stock
from utils.stock_trend_util import StockTrend
def set_value(code, start_date, end_date):
Stock.CODE = code
Stock.START_DATE = start_date
Stock.END_DATE = end_date
if __name__ == '__main__':
set_value(600170, '20180101', '20180223')
stock_list = StockTrend.stock_trend_info(Stock.CODE, Stock.START_DATE,
Stock.END_DATE)
StockTrend.stock_trend_chart(stock_list)